Lecture 1. Introduction to Matlab 

  1. The Matlab Workspace
  2. Working with Matlab (Importing Data, Vectors, Matrices, …)
  3. The Help Functionality
  4. Matlab for Financial Engineering – A Perspective


Lecture 2. Basic Functionality 

  1. Plotting and Visualizing
  2. 2D Plots and Subplots
  3. Interpolation
  4. 3D Plots
  5. Further Issues with Plotting


Lecture 3. Programming in Matlab 

  1. m-files
  2. Script m-files
  3. Introduction to Programming
    1. Standard techniques
    2. Special Matlab topics
    3. Summary of Basic Programming tasks
  4. Example: Black Scholes Merton Formula, Greeks, Binomial Trees

Lecture 4. Data Types 

  1. Logic Arrays, n-dim Arrays, Sparse Arrays, CellArrays, …
  2. Function Handles
  3. Example: Optimization


Lecture 5. Useful Functionality 

  1. Special Functions
  2. Integration and Transforms
  3. Example: Implementing Option Pricing Methods


Lecture 6. Monte Carlo

  1. Random Number Generation
  2. Path Generation
  3. Example: MC Application (Path-Dependent Options)

Final Practical Project.

The final project will be marked with feedback and a pass or fail will given. One retake is allowed if you fail.